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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2017 Volume 466, Pages 30–37 (Mi znsl6538)

This article is cited in 1 paper

On one problem of the optimal choice of record values

I. V. Bel'kov, V. B. Nevzorov

St. Petersburg State University, St. Petersburg, Russia

Abstract: Independent random variables $X_1,X_2,\dots, X_n$ having $\mathrm U([0,1])$-uniform distribution and the upper record values in this set are considered. We study the problem how to maximize (taking into account some consecutively observed values $x_1,x_2,\dots,x_k$ of these $X$-s) the expectation of sums of records in this sequence under the optimal choice of the corresponding variable $X_k$ (instead of $X_1$) as the initial record value.

Key words and phrases: record times, record values, sums of record values, expected number of records, uniform distribution, optimal choice problem.

UDC: 519.2

Received: 12.10.2017



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